BONUS 1: Every Ghost Pokemon

Living Pokemon are miserable, but there is something truly horrifying about Ghost-type Pokemon. Their very existence seems to indicate that there is no afterlife in the Pokemon universe  spirits are left to eternally wander the planes of the living, stuck doing battle with them even after death. None of the Ghost-type Pokemon seem to have particularly painful afterlives, but many  such as Yamask (who carries its own face as a mask and cries whenever it sees itself)  are clearly wracked with emotional turmoil and regret. And, worst of all, there is no hope of it ending, since they've already died.

BONUS 2: Arceus

Arceus supposedly created the world  making it the closest thing to an "all-powerful god" that exists in the universe of Pokemon. And there's nothing about it's life that's particularly "miserable"  it's powerful, majestic, and likely immortal. However, it  like all Pokemon  can be captured by a trainer. Going from "god of all creation" to "some kid's HM slave" seems like it would throw anyone into a pretty severe depression.